Too Much Information

How Much is “Too Much Information?”

QiT has data going back to 2007 for all the QiT portfolios.

You did know that we have data going back that far, didn’t you? No? Well heck, check it out. On each performance page you’ll see a link that says, “Click here for the Monthly Profit, Trade Count and Trade List tables” where you will find all your monthly profit percentages back to 2007, monthly trade counts back to 2010 and a list of the last month’s trades so you can check your trades to the strategies trades.

QiT has data going back to 2007.

Then you have “Click here for Year to Date and Since launch charts” where you will find how the strategy has done since the beginning of time – just kidding, since the beginning of the year and an equity curve that starts at the portfolio’s launch date.

Now to get to the topic of this week’s newsletter, just how far back should a developer backtest and why does QiT not go back to 2000? It’s like the question, which type of strategy is best, mean reversion or momentum? The answer is, it depends on the developer, the strategy and what you are trying to backtest.

My answer, however, is two-fold. First, data all the way back to 2000 is just TOO MUCH INFORMATION (TMI) and would be overwhelming for most. It is called data overload and you would get lost in it. Of this, I guarantee because I’ve done it – many times.

The second reason, the most important, is how relevant the years from 2000 to 2006 really are to today’s trading environment. I have a constant dialogue with my algo contractor on how far back you should go to backtest and we both agree you need to have a time frame that covers bull markets, bear markets, high volatility and low volatility. Once you have those environments covered anything else is just noise.

You need data for all environments

The ten years from 2007 to 2017 encompasses all four environments. Certainly a bear market from 2007 to 2009. Then an awesome bull market since. We had very high volatility in 2008 – DUH! And very low volatility in 2014 – long time QiT members will remember that year with anything but fondness.

As a matter of fact, I’m not sure even 2007 and 2008 are all that relevant anymore. I truly don’t believe we will see another 2008 in our lifetimes but the data shows how well the portfolios would have performed during that black swan event.

Another point is those two years skew the outcome upwards and I like to have the metrics on the website reflect reality as close as possible.

This is why we use only data back to 2007 but with the caveat, be careful if you take into account the years 2007 – 2009 because the data has been skewed by 2008. Personally, I only use data back to 2010 for my own trading.

Personally, I only use data back to 2010 for my own trading.

There is another argument you can make for using only 2010 and that has to do with frequency of trading. There is no day trading algo developer who would use minute charts beyond 2010 or probably even 2014 because of the frequency of trading. But that is a discussion for another day.

The Undoing Project

Michael Lewis, who authored the iconic books, Moneyball, and the Big Short released a new book in December, The Undoing Project. Here is a synopsis of the book,

“Forty years ago, Israeli psychologists Daniel Kahneman and Amos Tversky wrote a series of breathtakingly original studies undoing our assumptions about the decision-making process. Their papers showed the ways in which the human mind erred, systematically, when forced to make judgments about uncertain situations. Their work created the field of behavioral economics, revolutionized Big Data studies, advanced evidence-based medicine, led to a new approach to government regulation and made much of Michael Lewis’s own work possible. Kahneman and Tversky are more responsible than anybody for the powerful trend to mistrust human intuition and defer to algorithms.”

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Mary

Trader Janie, I want to tell you how much that I am coming to admire you Your willingness to listen to our concerns and your new and repeated explanations to our concerns as well as your attempts at tweaking what you have already spent so much of your life ...

Keith

Hi Jane,I just wanted to let you know I really appreciate the trade detail you post on the website. I like seeing the trade history of the past 30 days showing the entry and exit price. I compare this to my exit price just to make sure we are tracking ...

I joined this service because I love the process of Quant trading, removes all of the emotions. Many days I when I was traveling, I couldn't even tell you where the markets closed, but just entered my signals per the system and watched my account grow.

I am quite pleased with your strategies and am ahead almost $4K since I started on 9/14. I also am an old Connors fan.

Let me share with you two different perpectives of the QT system of algo trading.In 1978, I joined a large Wall Street firm as a retail broker. In the following 13 years as a broker and as a Principal, I saw several things that kept most brokerage clients from making ...

Great article! As I was reading it, I felt the crosshairs right on my forehead, having committed most of the sins you describe! I have long been a student of Larry Conners, his methods and research, I definitely believe in the system, but have often let my “trader” persona take ...

I simply wanted to thank you for adding the Conservative play into QiT. I also appreciate adding the layer of clarity by identifying what each level means on the Signal sheet. Keep up the great work to continue improving QiT.

Don

Thanks for the new ETF Portfolio. I find it meets my trading style, and I can go short inside my IRA.

Mark M

I know that drawdowns are inevitable. In the past, this made me lose money by hopping from system A to system B to system C etc. Losing and losing and losing. Always leaving right before the winning periods got in :-) That is why I like Quantitrader. I will stay ...

Roger

My background with Connors and Amibroker gave me greater appreciation for all the work you have put into getting the trading results that attracted me to QiT. I thank you for your efforts and look forward to continuing.

Subscribing to QiT allows me to save money and time by not having to pay for a datafeed, a trading platform, etc, and not spend hours running the stock screens, managing the datafeed, managing the trade signals, etc. Instead, all I do with QiT is check the signals each evening ...

Today has been an awesome day across the board for me. I am at a new equity high on L2-RP, no losses on L3 ETF (to be honest only a handful of trades so far) and close to break even on L3 Ultra. I started trading the ultra signals ...

Your services pay for themselves. I have belonged to many trading services and trading rooms and I find you and your services to be the most honorable and compassionate to the little guy.Keep up the good work,

I love your service and will going live very soon. Only third day on trial here.

Marge

It took me only 5 minutes to put my trades onto IB tonight Thanks Jane- so easy and quick. You have lots of TIME putting on the trades. There is no stress and no decisions you have to make!! Easy Peesy!!